The block layout problem for a multi-floor facility is an important sub class of the facility layout problem with practical applications when the price of land is high or when a compact building allows for more efficient environmental control. Several alternative formulations for the block layout problem of a multi-floor facility are presented, where the … Read more
This paper develops a linear programming based branch-and-bound algorithm for mixed integer conic quadratic programs. The algorithm is based on a higher dimensional or lifted polyhedral relaxation of conic quadratic constraints introduced by Ben-Tal and Nemirovski. The algorithm is different from other linear programming based branch-and-bound algorithms for mixed integer nonlinear programs in that, it … Read more
We study the Master Equality Polyhedron (MEP) which generalizes the Master Cyclic Group Polyhedron and the Master Knapsack Polyhedron. We present an explicit characterization of the polar of the nontrivial facet-defining inequalities for the MEP. This result generalizes similar results for the Master Cyclic Group Polyhedron by Gomory (1969) and for the Master Knapsack Polyhedron … Read more
We show how to approximate the feasible region of structured convex optimization problems by a family of convex sets with explicitly given and efficient (if the accuracy of the approximation is moderate) self-concordant barriers. This approach extends the reach of the modern theory of interior-point methods, and lays the foundation for new ways to treat … Read more
We investigate hierarchies of semidefinite approximations for the chromatic number $\chi(G)$ of a graph $G$. We introduce an operator $\Psi$ mapping any graph parameter $\beta(G)$, nested between the stability number $\alpha(G)$ and $\chi\left( {\ol G} \right)$, to a new graph parameter $\Psi_\beta(G)$, nested between $\alpha (\ol G)$ and $\chi(G)$; $\Psi_\beta(G)$ is polynomial time computable if … Read more
Recently we investigated in “The operator $\Psi$ for the Chromatic Number of a Graph” hierarchies of semidefinite approximations for the chromatic number $\chi(G)$ of a graph $G$. In particular, we introduced two hierarchies of lower bounds, the `$\psi$’-hierarchy converging to the fractional chromatic number, and the `$\Psi$’-hierarchy converging to the chromatic number of a graph. … Read more
We propose a moment relaxation for two problems, the separation and covering problem with semi-algebraic sets generated by a polynomial of degree d. We show that (a) the optimal value of the relaxation finitely converges to the optimal value of the original problem, when the moment order r increases and (b) there exist probability measures … Read more
We propose a method to approximate a class of exponential multivariate integrals using moment relaxations. Using this approach, both lower and upper bounds of the integrals are obtained and we show that these bound values asymptotically converge to the real value of the integrals when the moment degree r increases. We further demonstrate the method … Read more
We present experimental results on portfolio optimization problems with return errors under the robust optimization framework. We use several a histogram-like model for return deviations, and a model that allows correlation among errors, together with a cutting-plane algorithm which proves effective for large, real-life data sets. CitationColumbia Center for Financial Engineering Report 2007-01 Columbia University, … Read more
This paper focuses on a multi-objective derivation of branch-and-bound procedures. Such a procedure aims to provide the set of Pareto optimal solutions of a multi-objective combinatorial optimization problem. Unlike previous works on this issue, the bounding is performed here via a set of points rather than a single ideal point. The main idea is that … Read more